Is gold a hedge or a safe haven asset in times of Black Swan events? Empirical evidence from Central Eastern European Equity Markets

Detalhes bibliográficos
Autor(a) principal: Nedyalkova, Katerina Panayotova
Data de Publicação: 2021
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10400.14/35563
Resumo: The aim of this thesis is to investigate the property of gold to act as a hedge in normal and as a safe haven asset in extreme market conditions in the Central and Eastern European Equity Markets, in the period between 2010 and 2020. The descriptive and econometric analyses indicate that gold serves as a strong hedge in Czech Republic, Germany, Latvia, Serbia, Slovakia, Slovenia and as a weak hedge in Austria, Croatia, Estonia, Greece, Lithuania, Romania, in normal market conditions. Additionally, gold is a strong safe haven in Czech Republic, and weak safe haven in Germany, Latvia, Serbia, Slovakia and Slovenia. Finally, I use Google Trends Platform to measure the investor’s crisis sentiment to further explore the safe haven asset character of gold when a Black Swan event occurs. This ultimate analysis suggests that the price of gold would increase with a rise of the investor’s crisis perception.
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spelling Is gold a hedge or a safe haven asset in times of Black Swan events? Empirical evidence from Central Eastern European Equity MarketsBlack Swan eventGoldHedgeSafe haven assetEvento Cisne NegroOuroProteçãoAtivo porto seguroDomínio/Área Científica::Ciências Sociais::Economia e GestãoThe aim of this thesis is to investigate the property of gold to act as a hedge in normal and as a safe haven asset in extreme market conditions in the Central and Eastern European Equity Markets, in the period between 2010 and 2020. The descriptive and econometric analyses indicate that gold serves as a strong hedge in Czech Republic, Germany, Latvia, Serbia, Slovakia, Slovenia and as a weak hedge in Austria, Croatia, Estonia, Greece, Lithuania, Romania, in normal market conditions. Additionally, gold is a strong safe haven in Czech Republic, and weak safe haven in Germany, Latvia, Serbia, Slovakia and Slovenia. Finally, I use Google Trends Platform to measure the investor’s crisis sentiment to further explore the safe haven asset character of gold when a Black Swan event occurs. This ultimate analysis suggests that the price of gold would increase with a rise of the investor’s crisis perception.O objetivo desta tese é investigar a propriedade do ouro para atuar como proteção em condições normais e como um ativo porto seguro em condições extremas de Mercados de Ações da Europa Central e de Leste, no período entre 2010 e 2020. As análises descritiva e econométrica indicam que o ouro serve como uma proteção forte na República Tcheca, Alemanha, Letônia, Sérvia, Eslováquia, Eslovênia e como uma proteção fraca na Áustria, Croácia, Estônia, Grécia, Lituânia, Romênia, em condições normais de mercado. O ouro é um porto seguro forte na República Tcheca e um porto seguro fraco na Alemanha, Letônia, Sérvia, Eslováquia e Eslovênia. Por fim, com Google Trends, a percepção da crise do investidor é medida para explorar o caráter do ouro, no evento de Cisne Negro. Esta análise sugere que o preço do ouro aumentaria com o aumento da percepção de crise.Fidalgo, Eva SchliephakeVeritati - Repositório Institucional da Universidade Católica PortuguesaNedyalkova, Katerina Panayotova2021-10-15T09:30:07Z2021-04-282021-022021-04-28T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10400.14/35563TID:202728897enginfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-07-12T17:41:05Zoai:repositorio.ucp.pt:10400.14/35563Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T18:28:52.930470Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Is gold a hedge or a safe haven asset in times of Black Swan events? Empirical evidence from Central Eastern European Equity Markets
title Is gold a hedge or a safe haven asset in times of Black Swan events? Empirical evidence from Central Eastern European Equity Markets
spellingShingle Is gold a hedge or a safe haven asset in times of Black Swan events? Empirical evidence from Central Eastern European Equity Markets
Nedyalkova, Katerina Panayotova
Black Swan event
Gold
Hedge
Safe haven asset
Evento Cisne Negro
Ouro
Proteção
Ativo porto seguro
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
title_short Is gold a hedge or a safe haven asset in times of Black Swan events? Empirical evidence from Central Eastern European Equity Markets
title_full Is gold a hedge or a safe haven asset in times of Black Swan events? Empirical evidence from Central Eastern European Equity Markets
title_fullStr Is gold a hedge or a safe haven asset in times of Black Swan events? Empirical evidence from Central Eastern European Equity Markets
title_full_unstemmed Is gold a hedge or a safe haven asset in times of Black Swan events? Empirical evidence from Central Eastern European Equity Markets
title_sort Is gold a hedge or a safe haven asset in times of Black Swan events? Empirical evidence from Central Eastern European Equity Markets
author Nedyalkova, Katerina Panayotova
author_facet Nedyalkova, Katerina Panayotova
author_role author
dc.contributor.none.fl_str_mv Fidalgo, Eva Schliephake
Veritati - Repositório Institucional da Universidade Católica Portuguesa
dc.contributor.author.fl_str_mv Nedyalkova, Katerina Panayotova
dc.subject.por.fl_str_mv Black Swan event
Gold
Hedge
Safe haven asset
Evento Cisne Negro
Ouro
Proteção
Ativo porto seguro
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
topic Black Swan event
Gold
Hedge
Safe haven asset
Evento Cisne Negro
Ouro
Proteção
Ativo porto seguro
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
description The aim of this thesis is to investigate the property of gold to act as a hedge in normal and as a safe haven asset in extreme market conditions in the Central and Eastern European Equity Markets, in the period between 2010 and 2020. The descriptive and econometric analyses indicate that gold serves as a strong hedge in Czech Republic, Germany, Latvia, Serbia, Slovakia, Slovenia and as a weak hedge in Austria, Croatia, Estonia, Greece, Lithuania, Romania, in normal market conditions. Additionally, gold is a strong safe haven in Czech Republic, and weak safe haven in Germany, Latvia, Serbia, Slovakia and Slovenia. Finally, I use Google Trends Platform to measure the investor’s crisis sentiment to further explore the safe haven asset character of gold when a Black Swan event occurs. This ultimate analysis suggests that the price of gold would increase with a rise of the investor’s crisis perception.
publishDate 2021
dc.date.none.fl_str_mv 2021-10-15T09:30:07Z
2021-04-28
2021-02
2021-04-28T00:00:00Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
format masterThesis
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10400.14/35563
TID:202728897
url http://hdl.handle.net/10400.14/35563
identifier_str_mv TID:202728897
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv
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